portfolioAnalytics.vasicek subpackage
Functions
The Vasicek subpackage implements currently the following:
vasicek_base implements a finite homogeneous pool
vasicek_base_el implements the expected loss for the vasicek_base case
vasicek_base_ul implements the standard deviation for the vasicek_base case
vasicek_lim implements the limiting case for large N
vasicek_lim_el implements the expected loss for the vasicek_lim case
vasicek_lim_ul implements the standard deviation for the vasicek_lim case
vasicek_lim_q implements the quantile for the vasicek_lim case
Vasicek Base Distribution
Vasicek Base Discrete distribution.
- param N
The number of entities in the portfolio
- param k
The number of defaults
- param p
The probability of default (uniform across the portfolio)
- param rho
The asset correlation parameter
- return
The probability of k defaults
Vasicek Base Distribution Expected Loss
Expected Loss for the Vasicek Base distribution.
- param N
The number of entities in the portfolio
- param p
The probability of default
- param rho
The asset correlation (not needed here)
- return
The average default rate / loss
Vasicek Base Distribution Unexpected Loss
Unexpected Loss (Standard Deviation) for the Vasicek Base distribution.
- param N
The number of entities in the portfolio
- param p
The probability of default
- param rho
The asset correlation (not needed here)
- return
The default rate volatility (UL)
Vasicek Limit Distribution
The Large-N limit of the Vasicek Distribution.
- param theta
The target default rate
- param p
The probability of default
- param rho
The asset correlation
- return
Cumulative probability
Vasicek Limit Distribution Expected Loss
The expected loss of the large n limit of the Vasicek distribution.
- param p
The probability of default
- param rho
The asset correlation (not needed)
- return
The expected default rate
Vasicek Limit Distribution Unexpected Loss
The unexpected loss of the large n limit of the Vasicek distribution.
- param p
The probability of default
- param rho
The asset correlation
- return
The default rate volatility
Vasicek Limit Distribution Quantile Loss
The quantile of the large-n Limit of the Vasicek distribution.
- param alpha
The desired quantile
- param p
The probability of default
- param rho
The asset correlation
- return
The default rate at that confidence level